When accessing task actions on the todoist site the "delete completed tasks" simply does not work.
Please tell me - are you trying to remove completed sub-tasks from the list? If so - that's not what the option is for. If you complete a regular parent task, then it moves to the history - the one accessible through the circular icon at the bottom of your task list in a project. The "Delete completed tasks" option deletes all tasks that are in this history.
However, checked-off sub-tasks are not there until their parent task is completed. If you want to move sub-tasks to the history, it can be done in 2 ways:
1. Right-click on it and choose "Move to history".
2. Hold the SHIFT key while checking it off.